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Found 56 Documents (Results 1–56)

Forward evolution equations for knock-out options. (English) Zbl 1157.91355

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 195-217 (2007).
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Simulating Bermudan interest rate derivatives. (English) Zbl 0976.91023

Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 295-316 (2001).
MSC:  91B26
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Determining volatility surfaces and option values from an implied volatility smile. (English) Zbl 1012.91017

Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 163-191 (2001).
MSC:  91G20
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American options: A comparison of numerical methods. (English) Zbl 0898.90028

Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 67-87 (1997).
MSC:  91B24 91B28
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